Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649): Difference between revisions

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+Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model
@@ description / en / description / en @@
-scientific article
+scientific article; zbMATH DE number 6818957
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+Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (English)
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+.1287/opre.2017.1636
@@ Property / DOI: 10.1287/opre.2017.1636 / rank @@
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+Jong Mun Lee
@@ Property / author: Jong Mun Lee / rank @@
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+Operations Research
@@ Property / published in: Operations Research / rank @@
+Normal rank
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+December 2017Timestamp +2017-12-15T00:00:00Z
Timezone +00:00
Calendar Gregorian
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++2017-12-15T00:00:00Z
-Timezone
++00:00
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@@ Property / publication date: 15 December 2017 / rank @@
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+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
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+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
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+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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+6818957
@@ Property / zbMATH DE Number: 6818957 / rank @@
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+stochastic volatility
@@ Property / zbMATH Keywords: stochastic volatility / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Monte-Carlo method
@@ Property / zbMATH Keywords: Monte-Carlo method / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+exact simulation
@@ Property / zbMATH Keywords: exact simulation / rank @@
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+W1981482972
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+.0557
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+Publication:2444649

Latest revision as of 09:59, 6 May 2024

scientific article; zbMATH DE number 6818957

Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model

Language	Label	Description	Also known as
English	Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices	scientific article; zbMATH DE number 6818957	Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model